| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w29875 |
| 来源ID | Working Paper 29875 |
| A Preferred-Habitat Model of Term Premia, Exchange Rates, and Monetary Policy Spillovers | |
| Pierre-Olivier Gourinchas; Walker D. Ray; Dimitri Vayanos | |
| 发表日期 | 2022-03-28 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | We develop a two-country model in which currency and bond markets are populated by different investor clienteles, and segmentation is partly overcome by global arbitrageurs with limited capital. Our model accounts for the empirically documented violations of Uncovered Interest Parity (UIP) and the Expectations Hypothesis, and for how UIP violations depend on bond maturity, investment horizon, and yield curve slope differentials. Large-scale purchases of long-maturity bonds lower domestic and foreign bond yields, and depreciate the currency. Conventional monetary policy is transmitted to domestic and international bond yields as well, but its international transmission is weaker than for unconventional policy. |
| 主题 | International Economics ; International Finance ; International Macroeconomics ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w29875 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/587547 |
| 推荐引用方式 GB/T 7714 | Pierre-Olivier Gourinchas,Walker D. Ray,Dimitri Vayanos. A Preferred-Habitat Model of Term Premia, Exchange Rates, and Monetary Policy Spillovers. 2022. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w29875.pdf（641KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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